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Daily cross-border equity flows : pushed or pulled?

Author: John M Griffin; Federico Nardari; René M Stulz; National Bureau of Economic Research.
Publisher: Cambridge, MA. : National Bureau of Economic Research, ©2002.
Series: Working paper series (National Bureau of Economic Research), no. 9000.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows when its stocks earn unexpectedly high returns. We investigate these predictions using daily data on net equity  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John M Griffin; Federico Nardari; René M Stulz; National Bureau of Economic Research.
OCLC Number: 50406363
Notes: "June 2002."
Description: 1 online resource (57 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 9000.
Responsibility: John M. Griffin, Federico Nadari, Rene M. Stulz.

Abstract:

Abstract: In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows when its stocks earn unexpectedly high returns. We investigate these predictions using daily data on net equity flows for nine emerging market countries and find that equity flows are positively related to host country stock returns as well as market performance abroad. Both our theoretical model and our empirical analysis show that global stock return performance is an important factor in understanding equity flows.

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